Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0083 |
| Annualized Std Dev | 0.1457 |
| Annualized Sharpe (Rf=0%) | -0.0570 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4589.0000 |
| NAs | 1.0000 |
| Minimum | -0.1425 |
| Quartile 1 | -0.0038 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0039 |
| Maximum | 0.0907 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0092 |
| Skewness | -1.0464 |
| Kurtosis | 27.4115 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0067 |
| Gain Deviation | 0.0067 |
| Loss Deviation | 0.0077 |
| Downside Deviation (MAR=210%) | 0.0118 |
| Downside Deviation (Rf=0%) | 0.0067 |
| Downside Deviation (0%) | 0.0067 |
| Maximum Drawdown | 0.4243 |
| Historical VaR (95%) | -0.0131 |
| Historical ES (95%) | -0.0215 |
| Modified VaR (95%) | -0.0126 |
| Modified ES (95%) | -0.0126 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2003-07-01 | 2008-12-16 | 2012-03-09 | -0.4243 | 2142 | 1337 | 805 |
| 2012-05-18 | 2020-03-18 | NA | -0.3727 | 2220 | 1966 | NA |
| 2012-03-13 | 2012-03-16 | 2012-05-17 | -0.0962 | 45 | 4 | 41 |
| 2002-11-05 | 2002-12-18 | 2003-06-18 | -0.0795 | 149 | 29 | 120 |
| 2003-06-19 | 2003-06-19 | 2003-06-25 | -0.0265 | 5 | 1 | 4 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0.7 | 0.4 | 2.8 | 3.9 |
| 2003 | 0.7 | -0.1 | 0.2 | 0.6 | 0.4 | -1 | 0.2 | 0.5 | 1.6 | 0.7 | -1.2 | 1.3 | 4 |
| 2004 | -1 | 0 | 1.4 | -1.5 | 0 | 1.1 | 0.1 | -1 | -0.8 | -0.7 | -0.1 | 0.5 | -2.1 |
| 2005 | 0.5 | 2.1 | 2 | 0.5 | 0.1 | 0 | 0.5 | 0.5 | -0.4 | 1.3 | -0.1 | 1.6 | 9 |
| 2006 | 0.5 | 0.3 | 2.3 | 0 | 1.6 | 0.7 | 0.2 | 0 | -0.1 | -0.4 | 0.7 | 0.2 | 6.1 |
| 2007 | -0.5 | -0.1 | 0.3 | 0 | 0 | 1.5 | -0.4 | -0.6 | -0.1 | -1.5 | 0.4 | 1.2 | 0.1 |
| 2008 | -0.3 | -0.1 | 1.7 | 0.1 | 0.5 | -2.8 | 0.5 | -0.3 | 0.8 | 0 | -1.9 | -0.7 | -2.6 |
| 2009 | 0.5 | 0.8 | 0.5 | 0.8 | 0 | -0.8 | 1.3 | -0.2 | 1 | -1.2 | 2 | -0.4 | 4.2 |
| 2010 | 0 | 2.7 | 0.4 | 0.6 | -0.1 | -0.1 | 0.7 | -0.7 | -1.1 | 0.9 | -0.7 | 0.6 | 3.3 |
| 2011 | 1.5 | 0.1 | -0.4 | 0.2 | 0.9 | -0.2 | -0.1 | 0 | -0.9 | 0.2 | 1.7 | -0.1 | 2.9 |
| 2012 | 0 | -0.7 | 0.9 | 1.3 | 0.2 | -0.4 | 0.4 | 0.2 | 0.1 | -1.2 | 0.4 | -0.4 | 0.7 |
| 2013 | -0.2 | 0 | 0.2 | 0 | -1.4 | 0.2 | -1.3 | -0.1 | -0.6 | -0.8 | -0.2 | -0.8 | -5 |
| 2014 | 0.7 | 0.2 | -0.1 | -0.1 | -0.5 | -0.4 | -1 | 0.4 | -0.1 | 0.1 | 0.2 | 0.6 | 0 |
| 2015 | 0.8 | 0.9 | 0.8 | 0.3 | 0.8 | -0.2 | 0.5 | 0.5 | -0.5 | -0.1 | 1.5 | 0.7 | 6.2 |
| 2016 | 0.3 | 0.4 | 0.7 | 0.2 | -0.7 | -0.1 | 0.6 | -0.1 | 0.3 | 0.3 | -1.9 | 0.6 | 0.3 |
| 2017 | 0.2 | -0.5 | 0.7 | -0.3 | -0.2 | 0 | 0.3 | -0.1 | 0.1 | 0.3 | 0.6 | -0.3 | 0.7 |
| 2018 | -0.2 | -0.1 | 0 | 0 | 0 | 0.3 | -0.1 | 0.1 | -0.3 | 0.3 | -0.4 | 1 | 0.7 |
| 2019 | 0.4 | 0.1 | 0.2 | -0.3 | 0.6 | -0.8 | 0.2 | 0 | 0.5 | 0 | 0.4 | 0.9 | 2.2 |
| 2020 | 0 | -1.6 | -1.6 | 0.4 | 0.3 | 0.8 | 0.6 | -0.1 | -0.2 | 0.2 | 1 | 1.2 | 1 |
| 2021 | 0.1 | 1.7 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2002-09-26 15.0 SPY 85.7 0.0164 0.0122 -0.0895 -0.138 -0.154 -0.344 NA <NA> NA NA NA
2 2002-09-27 15 SPY 82.8 -0.0348 -0.019 -0.102 -0.164 -0.191 -0.353 NA <NA> NA NA NA
3 2002-09-30 15.0 SPY 81.8 -0.0116 -0.0224 -0.112 -0.157 -0.217 -0.360 NA <NA> NA NA NA
4 2002-10-01 15.0 SPY 85.7 0.048 0.0414 -0.066 -0.0974 -0.178 -0.333 NA <NA> NA NA NA
5 2002-10-02 15.0 SPY 83.2 -0.03 -0.0142 -0.0581 -0.129 -0.212 -0.352 NA <NA> NA NA NA
6 2002-10-03 15.0 SPY 82.3 -0.0101 -0.0399 -0.0807 -0.171 -0.233 -0.351 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
